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Method and apparatus for an incomplete information model of credit risk
Method and apparatus for an incomplete information model of credit risk
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机译:信用风险不完全信息模型的方法和装置
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摘要
A method and apparatus for developing a structural model of credit risk that incorporates the short-term uncertainty inherent in default events is disclosed. The model is based on the assumption of incomplete information, taking as premise that bond investors are not certain about the true level of a firm's value that may trigger default. In addition, the coherent integration of structure and uncertainty is facilitated with compensators. Compensators form the infrastructure of a class of credit models that is broad enough to include traditional structural models, intensity-based models, and a great deal more. Several empirical examples are provided that compare default probabilities and credit yield spreads forecast by the incomplete information model to the output of a Black and Cox (1976) model. It is found that the incomplete information model reacts more quickly and, unlike traditional structural models, forecasts positive short-term credit spreads for firms that are in distress. It is also demonstrated that while the model is predicated on the surprise nature of default, it does not have conditional default rate.
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机译:公开了一种开发信用风险的结构模型的方法和装置,该结构模型结合了违约事件中固有的短期不确定性。该模型基于不完整信息的假设,前提是债券投资者不确定可能触发违约的公司价值的真实水平。另外,补偿器有助于结构和不确定性的连贯整合。补偿器构成一类信用模型的基础结构,其信用范围足够广泛,可以包括传统的结构模型,基于强度的模型,以及更多其他信用模型。提供了一些经验示例,将不完全信息模型预测的违约概率和信用收益率利差与Black and Cox(1976)模型的输出进行比较。结果发现,不完整的信息模型反应更快,并且与传统的结构模型不同,它预测了处于困境中的公司的短期信用利差为正。还证明了,虽然该模型是基于违约的意外性质而确定的,但它没有条件违约率。
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